Reading BTC and ETH Derivatives Positioning Through Volatility and Skew
Summary
This weekly report reviews crypto derivatives after a sharp Bitcoin spot decline. It connects the selloff with a weaker risk appetite reading, a renewed run of spot Bitcoin ETF outflows, and defensive positioning in options and perpetual futures. It also notes a later price consolidation and a subsequent corporate Bitcoin purchase, illustrating that market conditions shifted during the reporting period.
The analysis tracks at-the-money implied volatility, volatility term structures, and 25-delta risk reversals for BTC and ETH. Short-dated implied volatility fell substantially, while both term structures remained mildly inverted and options smiles continued to show demand for puts. The report describes these measures and the market data used to construct them, including fitted volatility surfaces and comparisons across exchanges and maturities. It is a snapshot of conditions rather than a trading strategy or causal study; the document provides no performance tests, and its figures should be understood in the context of the stated reporting period.
Key ideas
- A sharp BTC spot decline coincided with a lower derivatives-based risk appetite reading and spot ETF outflows.
- ETH perpetual funding stayed negative during the stated period, indicating bearish positioning among perp traders.
- Short-dated BTC and ETH at-the-money implied volatility fell, while their term structures remained mildly inverted.
- Put options retained a volatility premium, although BTC short-dated skew improved from its deeper level during the selloff.
- Risk reversals, fitted volatility surfaces, and exchange smile comparisons offer complementary views of options pricing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.